Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares U.S. Equity Factor ETF backtest
10 trend-following strategies were compared on the full daily history of iShares U.S. Equity Factor ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -36.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -20.8%, Sharpe 0.70, 60% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.3%, MDD -31.5%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=98, exitN=62 |
6.6% | -20.8% | 0.70 | 0.32 | 2.1x | 17 | 60% |
| SMA 크로스오버 fast=15, slow=212 |
7.7% | -21.1% | 0.69 | 0.36 | 2.3x | 17 | 74% |
| EMA 크로스오버 fast=41, slow=102 |
6.9% | -25.8% | 0.63 | 0.27 | 2.1x | 19 | 74% |
| ROC 모멘텀 Hold-like · Exposure 96% n=34, threshold=-0.11 |
8.3% | -31.5% | 0.60 | 0.26 | 2.5x | 25 | 96% |
| MACD fast=40, slow=73, signal=8 |
2.9% | -26.1% | 0.35 | 0.11 | 1.4x | 110 | 53% |
| 볼린저 밴드 돌파 n=47, k=2.8 |
0.7% | -5.2% | 0.34 | 0.14 | 1.1x | 5 | 6% |
| Supertrend period=25, mult=5 |
3.1% | -31.9% | 0.34 | 0.10 | 1.4x | 49 | 68% |
| ADX / DI 방향성 period=32, threshold=22 |
0.5% | -10.0% | 0.21 | 0.05 | 1.1x | 4 | 5% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.5% | -26.9% | 0.19 | 0.05 | 1.2x | 113 | 64% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=12, mult=4 |
0.2% | -12.8% | 0.07 | 0.01 | 1.0x | 14 | 10% |
| Buy and hold | 10.7% | -36.0% | 0.65 | 0.30 | 3.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 98 days
- Sell — Sell when price breaks below the lowest low of the last 62 days